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Simulation and optimization approaches to scenario tree generation

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Cited by:

  1. Liu, Pei-chen Barry & Hansen, Mark & Mukherjee, Avijit, 2008. "Scenario-based air traffic flow management: From theory to practice," Transportation Research Part B: Methodological, Elsevier, vol. 42(7-8), pages 685-702, August.
  2. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 18552, Victoria University of Wellington, School of Economics and Finance.
  3. Lee, Jinkyu & Bae, Sanghyeon & Kim, Woo Chang & Lee, Yongjae, 2023. "Value function gradient learning for large-scale multistage stochastic programming problems," European Journal of Operational Research, Elsevier, vol. 308(1), pages 321-335.
  4. Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.
  5. Tahvonen, Olli & Quaas, Martin F. & Voss, Rüdiger, 2018. "Harvesting selectivity and stochastic recruitment in economic models of age-structured fisheries," Journal of Environmental Economics and Management, Elsevier, vol. 92(C), pages 659-676.
  6. Gülpınar, N. & Oliveira, F.S., 2012. "Robust trading in spot and forward oligopolistic markets," International Journal of Production Economics, Elsevier, vol. 138(1), pages 35-45.
  7. Davari-Ardakani, Hamed & Aminnayeri, Majid & Seifi, Abbas, 2014. "A study on modeling the dynamics of statistically dependent returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 35-51.
  8. Wu, Dexiang & Wu, Desheng Dash, 2020. "A decision support approach for two-stage multi-objective index tracking using improved lagrangian decomposition," Omega, Elsevier, vol. 91(C).
  9. Duarte, Thiago B. & Valladão, Davi M. & Veiga, Álvaro, 2017. "Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 177-188.
  10. Fernando Rojas & Víctor Leiva & Peter Wanke & Camilo Lillo & Jimena Pascual, 2019. "Modeling lot-size with time-dependent demand based on stochastic programming and case study of drug supply in Chile," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-24, March.
  11. Sovan Mitra, 2013. "Scenario Generation For Operational Risk," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 163-187, July.
  12. Yemshanov, Denys & Haight, Robert G. & Koch, Frank H. & Lu, Bo & Venette, Robert & Fournier, Ronald E. & Turgeon, Jean J., 2017. "Robust Surveillance and Control of Invasive Species Using a Scenario Optimization Approach," Ecological Economics, Elsevier, vol. 133(C), pages 86-98.
  13. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
  14. Mukherjee, Avijit & Hansen, Mark, 2009. "A dynamic rerouting model for air traffic flow management," Transportation Research Part B: Methodological, Elsevier, vol. 43(1), pages 159-171, January.
  15. Mitra, Sovan & Lim, Sungmook & Karathanasopoulos, Andreas, 2019. "Regression based scenario generation: Applications for performance management," Operations Research Perspectives, Elsevier, vol. 6(C).
  16. Sabastine Mushori & Delson Chikobvu, 2016. "A Stochastic Multi-stage Trading Cost model in optimal portfolio selection," EERI Research Paper Series EERI RP 2016/23, Economics and Econometrics Research Institute (EERI), Brussels.
  17. Woong Bee Choi & Dongyeol Lee & Woo Chang Kim, 2021. "Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service," Sustainability, MDPI, vol. 13(1), pages 1-14, January.
  18. Gulpinar, Nalan & Rustem, Berc, 2007. "Robust optimal decisions with imprecise forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3595-3611, April.
  19. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
  20. Osorio, Maria A. & Gulpinar, Nalan & Rustem, Berc & Settergren, Reuben, 2004. "Post-tax optimization with stochastic programming," European Journal of Operational Research, Elsevier, vol. 157(1), pages 152-168, August.
  21. Panos Parpas & Berç Rustem, 2007. "Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems," INFORMS Journal on Computing, INFORMS, vol. 19(2), pages 239-247, May.
  22. Gulpinar, Nalan & Rustem, Berc, 2007. "Worst-case robust decisions for multi-period mean-variance portfolio optimization," European Journal of Operational Research, Elsevier, vol. 183(3), pages 981-1000, December.
  23. Samimi, Abouzar & Nikzad, Mehdi & Siano, Pierluigi, 2017. "Scenario-based stochastic framework for coupled active and reactive power market in smart distribution systems with demand response programs," Renewable Energy, Elsevier, vol. 109(C), pages 22-40.
  24. Patrizia Beraldi & Maria Bruni, 2014. "A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 934-949, October.
  25. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
  26. Davi Valladão & Thuener Silva & Marcus Poggi, 2019. "Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns," Annals of Operations Research, Springer, vol. 282(1), pages 379-405, November.
  27. Osorio, Maria A. & Gulpinar, Nalan & Rustem, Berc, 2008. "A mixed integer programming model for multistage mean-variance post-tax optimization," European Journal of Operational Research, Elsevier, vol. 185(2), pages 451-480, March.
  28. Fei, Xin & Gülpınar, Nalân & Branke, Jürgen, 2019. "Efficient solution selection for two-stage stochastic programs," European Journal of Operational Research, Elsevier, vol. 277(3), pages 918-929.
  29. Maria Osorio & Nalan Gülpınar & Berç Rustem, 2008. "A general framework for multistage mean-variance post-tax optimization," Annals of Operations Research, Springer, vol. 157(1), pages 3-23, January.
  30. N. Gülpınar & F. Oliveira, 2014. "Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties," Computational Management Science, Springer, vol. 11(3), pages 267-283, July.
  31. Ponomareva, K. & Roman, D. & Date, P., 2015. "An algorithm for moment-matching scenario generation with application to financial portfolio optimisation," European Journal of Operational Research, Elsevier, vol. 240(3), pages 678-687.
  32. M. Schyns & Y. Crama & G. Hübner, 2010. "Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach," Annals of Operations Research, Springer, vol. 181(1), pages 683-708, December.
  33. Shen, Ruijun & Zhang, Shuzhong, 2008. "Robust portfolio selection based on a multi-stage scenario tree," European Journal of Operational Research, Elsevier, vol. 191(3), pages 864-887, December.
  34. Moghaddam, Iman Gerami & Nick, Mostafa & Fallahi, Farhad & Sanei, Mohsen & Mortazavi, Saeid, 2013. "Risk-averse profit-based optimal operation strategy of a combined wind farm–cascade hydro system in an electricity market," Renewable Energy, Elsevier, vol. 55(C), pages 252-259.
  35. Yousra Tourki & Jeffrey Keisler & Igor Linkov, 2013. "Scenario analysis: a review of methods and applications for engineering and environmental systems," Environment Systems and Decisions, Springer, vol. 33(1), pages 3-20, March.
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